using Convex

K = 6
n = 4
T = 15

A = cell(K)
A[1] = [
  0.974613  0.005416  0.338909  0.145373
  0.053034  0.968552  0.248223  0.029486
  -0.163864  -0.032364  0.847248  -0.002269
  -0.083829  0.014624  0.266229  1.157479
]

A[2] = [
  0.987410  0.023077  -0.012568  0.022919
  0.094696  0.957696  0.018856  -0.121419
  -0.053685  -0.039576  1.025950  0.044159
  0.040182  0.145130  -0.086010  1.011792
]

A[3] = [
  0.939168  0.055795  0.007536  -0.052255
  -0.011330  0.992497  -0.015185  0.035225
  -0.254674  0.181117  0.982911  -0.086943
  0.190628  -0.136959  0.011503  1.068570
]

A[4] = [
  1.011854  -0.006006  0.014586  0.003463
  0.036293  0.986740  0.047754  0.010116
  0.035943  -0.064832  1.016076  0.014929
  -0.048424  0.056865  -0.040062  0.982782
]

A[5] = [
  1.051422  0.065121  0.065513  -0.046097
  0.012282  1.014907  0.022017  -0.015483
  -0.060526  -0.078696  0.943018  0.040122
  0.039731  0.053584  0.018456  0.986970
]

A[6] = [
  1.062129  -0.047598  0.015538  -0.037892
  0.201861  0.959273  -0.002347  -0.004480
  0.112989  0.028807  0.996122  -0.112590
  0.092842  -0.044787  0.033195  0.970655
]

Q = [
  1.801362  0.434618  1.854163  2.119112
  0.434618  1.239241  -1.032350  1.617343
  1.854163  -1.032350  8.245716  0.368032
  2.119112  1.617343  0.368032  3.923263
]

x0 = [
  -1.237416
  -28.995344
  -6.584492
  -26.920183
]

f(x) = (x'*Q*x)[1]/2

pstar = 11769.756573
